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American-Type Options: Stochastic Approximation Methods, Volume 2


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2015 | ISBN-10: 3110329689 | 559 Pages | PDF | 4 MB

The second volume of this systematical presentation of stochastic approximation methods for models of American-type options presents results on structural studies of optimal stopping domains, Monte Carlo based approximation reward algorithms, and convergence of American-type options for autoregressive and continuous time models, as well as results of the corresponding experimental studies.
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